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On a risk model with randomized dividend-decision times
1. | College of Mathematics and Statistics, Chongqing University, Chongqing, 401331, China |
References:
[1] |
H. Albrecher, E. C. K. Cheung and S. Thonhauser, Randomized observation periods for the compound Poisson risk model: Dividends, Astin Bulletin, 41 (2011), 645-672. |
[2] |
H. Albrecher, E. C. K. Cheung and S. Thonhauser, Randomized observation periods for the compound Poisson risk model: The discounted penalty function, Scandinavian Actuarial Journal, 2013 (2013), 424-452.
doi: 10.1080/03461238.2011.624686. |
[3] |
B. Avanzi, E. C. K. Cheung, B. Wong and J.-K. Woo, On a periodic dividend barrier strategy in the dual model with continuous monitoring of solvency, Insurance: Mathematics and Economics, 52 (2013), 98-113.
doi: 10.1016/j.insmatheco.2012.10.008. |
[4] |
B. De Finetti, Su un impostazione alternativa della teoria collectiva del rischio, Transactions of the XVth International Congress of Actuaries, 2 (1957), 433-443. |
[5] |
H. U. Gerber and E. S. W. Shiu, On the time value of ruin, North American Actuarial Journal, 2 (1998), 48-78.
doi: 10.1080/10920277.1998.10595671. |
[6] |
H. U. Gerber and E. S. W. Shiu, Optimal dividends: Analysis with Brownian motion, North American Actuarial Journal, 8 (2004), 1-20.
doi: 10.1080/10920277.2004.10596125. |
[7] |
A. E. Kyprianou, Introductory Lectures on Fluctuations of Lévy Processes with Applications, Springer-Verlag, Berlin, Heidelberg, 2006. |
[8] |
S. Li, The distribution of the dividend payments in the compound poisson risk model perturbed by diffusion, Scandinavian Actuarial Journal, 2006 (2006), 73-85.
doi: 10.1080/03461230600589237. |
[9] |
S. Li and J. Garrido, On ruin for the Erlang(n) risk model, Insurance: Mathematics and Economics, 34 (2004), 391-408.
doi: 10.1016/j.insmatheco.2004.01.002. |
[10] |
S. Li and J. Garrido, On a class of renewal risk model with a constant dividend barrier, Insurance: Mathematics and Economics, 35 (2004), 691-701.
doi: 10.1016/j.insmatheco.2004.08.004. |
[11] |
X. S. Lin, G. E. Willmot and S. Drekic, The classical risk model with a constant dividend barrier: Analysis of the Gerber-Shiu discounted penalty function, Insurance: Mathematics and Economics, 33 (2003), 551-566.
doi: 10.1016/j.insmatheco.2003.08.004. |
[12] |
X. S. Lin and K. P. Pavlova, The compound Poisson risk model with a threshold dividend strategy, Insurance: Mathematics and Economics, 38 (2006), 57-80.
doi: 10.1016/j.insmatheco.2005.08.001. |
[13] |
X. S. Lin and K. P. Sendova, The compound Poisson risk model with multiple thresholds, Insurance: Mathematics and Economics, 42 (2008), 617-627.
doi: 10.1016/j.insmatheco.2007.06.008. |
[14] |
C. C. L. Tsai and G. E. Willmot, A generalized defective renewal equation for the surplus process perturbed by diffusion, Insurance: Mathematics and Economics, 30 (2002), 51-66.
doi: 10.1016/S0167-6687(01)00096-8. |
[15] |
Z. Zhang and X. Wu, Dividend payments in the Brownian risk model with randomized decision times, Acta Mathematicae Applicatae Sinica-English Series, (2013), accepted. |
show all references
References:
[1] |
H. Albrecher, E. C. K. Cheung and S. Thonhauser, Randomized observation periods for the compound Poisson risk model: Dividends, Astin Bulletin, 41 (2011), 645-672. |
[2] |
H. Albrecher, E. C. K. Cheung and S. Thonhauser, Randomized observation periods for the compound Poisson risk model: The discounted penalty function, Scandinavian Actuarial Journal, 2013 (2013), 424-452.
doi: 10.1080/03461238.2011.624686. |
[3] |
B. Avanzi, E. C. K. Cheung, B. Wong and J.-K. Woo, On a periodic dividend barrier strategy in the dual model with continuous monitoring of solvency, Insurance: Mathematics and Economics, 52 (2013), 98-113.
doi: 10.1016/j.insmatheco.2012.10.008. |
[4] |
B. De Finetti, Su un impostazione alternativa della teoria collectiva del rischio, Transactions of the XVth International Congress of Actuaries, 2 (1957), 433-443. |
[5] |
H. U. Gerber and E. S. W. Shiu, On the time value of ruin, North American Actuarial Journal, 2 (1998), 48-78.
doi: 10.1080/10920277.1998.10595671. |
[6] |
H. U. Gerber and E. S. W. Shiu, Optimal dividends: Analysis with Brownian motion, North American Actuarial Journal, 8 (2004), 1-20.
doi: 10.1080/10920277.2004.10596125. |
[7] |
A. E. Kyprianou, Introductory Lectures on Fluctuations of Lévy Processes with Applications, Springer-Verlag, Berlin, Heidelberg, 2006. |
[8] |
S. Li, The distribution of the dividend payments in the compound poisson risk model perturbed by diffusion, Scandinavian Actuarial Journal, 2006 (2006), 73-85.
doi: 10.1080/03461230600589237. |
[9] |
S. Li and J. Garrido, On ruin for the Erlang(n) risk model, Insurance: Mathematics and Economics, 34 (2004), 391-408.
doi: 10.1016/j.insmatheco.2004.01.002. |
[10] |
S. Li and J. Garrido, On a class of renewal risk model with a constant dividend barrier, Insurance: Mathematics and Economics, 35 (2004), 691-701.
doi: 10.1016/j.insmatheco.2004.08.004. |
[11] |
X. S. Lin, G. E. Willmot and S. Drekic, The classical risk model with a constant dividend barrier: Analysis of the Gerber-Shiu discounted penalty function, Insurance: Mathematics and Economics, 33 (2003), 551-566.
doi: 10.1016/j.insmatheco.2003.08.004. |
[12] |
X. S. Lin and K. P. Pavlova, The compound Poisson risk model with a threshold dividend strategy, Insurance: Mathematics and Economics, 38 (2006), 57-80.
doi: 10.1016/j.insmatheco.2005.08.001. |
[13] |
X. S. Lin and K. P. Sendova, The compound Poisson risk model with multiple thresholds, Insurance: Mathematics and Economics, 42 (2008), 617-627.
doi: 10.1016/j.insmatheco.2007.06.008. |
[14] |
C. C. L. Tsai and G. E. Willmot, A generalized defective renewal equation for the surplus process perturbed by diffusion, Insurance: Mathematics and Economics, 30 (2002), 51-66.
doi: 10.1016/S0167-6687(01)00096-8. |
[15] |
Z. Zhang and X. Wu, Dividend payments in the Brownian risk model with randomized decision times, Acta Mathematicae Applicatae Sinica-English Series, (2013), accepted. |
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